The Functional Central Limit Theorem For Non Stationary Mixing Sequences Of Random Variables
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The Functional Central Limit Theorem For Non Stationary Mixing Sequences Of Random Variables
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Author : Geoffrey Roderick Webb
language : en
Publisher:
Release Date : 1971
The Functional Central Limit Theorem For Non Stationary Mixing Sequences Of Random Variables written by Geoffrey Roderick Webb and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Distribution (Probability theory) categories.
Limit Theory For Mixing Dependent Random Variables
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Author : Lin Zhengyan
language : en
Publisher: Springer Science & Business Media
Release Date : 1997-07-31
Limit Theory For Mixing Dependent Random Variables written by Lin Zhengyan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997-07-31 with Mathematics categories.
For many practical problems, observations are not independent. In this book, limit behaviour of an important kind of dependent random variables, the so-called mixing random variables, is studied. Many profound results are given, which cover recent developments in this subject, such as basic properties of mixing variables, powerful probability and moment inequalities, weak convergence and strong convergence (approximation), limit behaviour of some statistics with a mixing sample, and many useful tools are provided. Audience: This volume will be of interest to researchers and graduate students in the field of probability and statistics, whose work involves dependent data (variables).
Independent And Stationary Sequences Of Random Variables
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Author : Ilʹdar Abdulovich Ibragimov
language : en
Publisher:
Release Date : 1971
Independent And Stationary Sequences Of Random Variables written by Ilʹdar Abdulovich Ibragimov and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Distribution (Probability theory). categories.
Stationary Sequences And Random Fields
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Author : Murray Rosenblatt
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stationary Sequences And Random Fields written by Murray Rosenblatt and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This book has a dual purpose. One of these is to present material which selec tively will be appropriate for a quarter or semester course in time series analysis and which will cover both the finite parameter and spectral approach. The second object is the presentation of topics of current research interest and some open questions. I mention these now. In particular, there is a discussion in Chapter III of the types of limit theorems that will imply asymptotic nor mality for covariance estimates and smoothings of the periodogram. This dis cussion allows one to get results on the asymptotic distribution of finite para meter estimates that are broader than those usually given in the literature in Chapter IV. A derivation of the asymptotic distribution for spectral (second order) estimates is given under an assumption of strong mixing in Chapter V. A discussion of higher order cumulant spectra and their large sample properties under appropriate moment conditions follows in Chapter VI. Probability density, conditional probability density and regression estimates are considered in Chapter VII under conditions of short range dependence. Chapter VIII deals with a number of topics. At first estimates for the structure function of a large class of non-Gaussian linear processes are constructed. One can determine much more about this structure or transfer function in the non-Gaussian case than one can for Gaussian processes. In particular, one can determine almost all the phase information.
Dependence In Probability And Statistics
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Author : Eberlein
language : en
Publisher: Birkhäuser
Release Date : 1986
Dependence In Probability And Statistics written by Eberlein and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Mathematics categories.
Functional Gaussian Approximation For Dependent Structures
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Author : Florence Merlevède
language : en
Publisher: Oxford University Press
Release Date : 2019-02-14
Functional Gaussian Approximation For Dependent Structures written by Florence Merlevède and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-02-14 with Mathematics categories.
Functional Gaussian Approximation for Dependent Structures develops and analyses mathematical models for phenomena that evolve in time and influence each another. It provides a better understanding of the structure and asymptotic behaviour of stochastic processes. Two approaches are taken. Firstly, the authors present tools for dealing with the dependent structures used to obtain normal approximations. Secondly, they apply normal approximations to various examples. The main tools consist of inequalities for dependent sequences of random variables, leading to limit theorems, including the functional central limit theorem and functional moderate deviation principle. The results point out large classes of dependent random variables which satisfy invariance principles, making possible the statistical study of data coming from stochastic processes both with short and long memory. The dependence structures considered throughout the book include the traditional mixing structures, martingale-like structures, and weakly negatively dependent structures, which link the notion of mixing to the notions of association and negative dependence. Several applications are carefully selected to exhibit the importance of the theoretical results. They include random walks in random scenery and determinantal processes. In addition, due to their importance in analysing new data in economics, linear processes with dependent innovations will also be considered and analysed.
Limit Theorems In Probability And Statistics
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Author : Pál Révész
language : en
Publisher: Elsevier Science & Technology
Release Date : 1984
Limit Theorems In Probability And Statistics written by Pál Révész and has been published by Elsevier Science & Technology this book supported file pdf, txt, epub, kindle and other format this book has been release on 1984 with Limit theorems (Probability theory) categories.
Asymptotic Theory Of Weakly Dependent Random Processes
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Author : Emmanuel Rio
language : en
Publisher: Springer
Release Date : 2017-04-13
Asymptotic Theory Of Weakly Dependent Random Processes written by Emmanuel Rio and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-13 with Mathematics categories.
Ces notes sont consacrées aux inégalités et aux théorèmes limites classiques pour les suites de variables aléatoires absolument régulières ou fortement mélangeantes au sens de Rosenblatt. Le but poursuivi est de donner des outils techniques pour l'étude des processus faiblement dépendants aux statisticiens ou aux probabilistes travaillant sur ces processus.
Mixing
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Author : Paul Doukhan
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Mixing written by Paul Doukhan and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Mixing is concerned with the analysis of dependence between sigma-fields defined on the same underlying probability space. It provides an important tool of analysis for random fields, Markov processes, central limit theorems as well as being a topic of current research interest in its own right. The aim of this monograph is to provide a study of applications of dependence in probability and statistics. It is divided in two parts, the first covering the definitions and probabilistic properties of mixing theory. The second part describes mixing properties of classical processes and random fields as well as providing a detailed study of linear and Gaussian fields. Consequently, this book will provide statisticians dealing with problems involving weak dependence properties with a powerful tool.
Limit Theorems Of Probability Theory
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Author : Yu.V. Prokhorov
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Limit Theorems Of Probability Theory written by Yu.V. Prokhorov and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-14 with Mathematics categories.
A collection of research level surveys on certain topics in probability theory by a well-known group of researchers. The book will be of interest to graduate students and researchers.